Essays In Time Series And Allied Processes
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Essays In Time Series And Allied Processes
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Author : Edward James Hannan
language : en
Publisher:
Release Date : 1986
Essays In Time Series And Allied Processes written by Edward James Hannan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1986 with Mathematics categories.
New Directions In Time Series Analysis
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Author : David Brillinger
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
New Directions In Time Series Analysis written by David Brillinger and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.
This IMA Volume in Mathematics and its Applications NEW DIRECTIONS IN TIME SERIES ANALYSIS, PART II is based on the proceedings of the IMA summer program "New Directions in Time Series Analysis. " We are grateful to David Brillinger, Peter Caines, John Geweke, Emanuel Parzen, Murray Rosenblatt, and Murad Taqqu for organizing the program and we hope that the remarkable excitement and enthusiasm of the participants in this interdisciplinary effort are communicated to the reader. A vner Friedman Willard Miller, Jr. PREFACE Time Series Analysis is truly an interdisciplinary field because development of its theory and methods requires interaction between the diverse disciplines in which it is applied. To harness its great potential, strong interaction must be encouraged among the diverse community of statisticians and other scientists whose research involves the analysis of time series data. This was the goal of the IMA Workshop on "New Directions in Time Series Analysis. " The workshop was held July 2-July 27, 1990 and was organized by a committee consisting of Emanuel Parzen (chair), David Brillinger, Murray Rosenblatt, Murad S. Taqqu, John Geweke, and Peter Caines. Constant guidance and encouragement was provided by Avner Friedman, Director of the IMA, and his very helpful and efficient staff. The workshops were organized by weeks. It may be of interest to record the themes that were announced in the IMA newsletter describing the workshop: l.
Time Series Analysis And Applications To Geophysical Systems
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Author : David Brillinger
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Time Series Analysis And Applications To Geophysical Systems written by David Brillinger and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.
Part of a two volume set based on a recent IMA program of the same name. The goal of the program and these books is to develop a community of statistical and other scientists kept up-to-date on developments in this quickly evolving and interdisciplinary field. Consequently, these books present recent material by distinguished researchers. Topics discussed in Part I include nonlinear and non- Gaussian models and processes (higher order moments and spectra, nonlinear systems, applications in astronomy, geophysics, engineering, and simulation) and the interaction of time series analysis and statistics (information model identification, categorical valued time series, nonparametric and semiparametric methods). Self-similar processes and long-range dependence (time series with long memory, fractals, 1/f noise, stable noise) and time series research common to engineers and economists (modeling of multivariate and possibly non-stationary time series, state space and adaptive methods) are discussed in Part II.
Developments In Time Series Analysis
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Author : T. Subba Rao
language : en
Publisher: CRC Press
Release Date : 1993-07-01
Developments In Time Series Analysis written by T. Subba Rao and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993-07-01 with Mathematics categories.
This volume contains 27 papers, written by time series analysts, dealing with statistical theory, methodology and applications. The emphasis is on the recent developments in the analysis of linear, onlinear (non-Gaussian), stationary and nonstationary time series. The topics include cointegration, estimation and asymptotic theory, Kalman filtering, nonparametric statistical inference, long memory models, nonlinear models, spectral analysis of stationary and nonstationary processes. Quite a number of papers are devoted to modelling and analysis of real time series, and the econometricians, mathematical statisticians, communications engineers and scientists who use time series techniques and Fourier analysis should find the papers in this volume useful.
New Introduction To Multiple Time Series Analysis
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Author : Helmut Lütkepohl
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-07-26
New Introduction To Multiple Time Series Analysis written by Helmut Lütkepohl and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-07-26 with Business & Economics categories.
This is the new and totally revised edition of Lütkepohl’s classic 1991 work. It provides a detailed introduction to the main steps of analyzing multiple time series, model specification, estimation, model checking, and for using the models for economic analysis and forecasting. The book now includes new chapters on cointegration analysis, structural vector autoregressions, cointegrated VARMA processes and multivariate ARCH models. The book bridges the gap to the difficult technical literature on the topic. It is accessible to graduate students in business and economics. In addition, multiple time series courses in other fields such as statistics and engineering may be based on it.
Introduction To Multiple Time Series Analysis
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Author : Helmut Lütkepohl
language : en
Publisher: Springer Science & Business Media
Release Date : 1993-08-13
Introduction To Multiple Time Series Analysis written by Helmut Lütkepohl and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993-08-13 with Business & Economics categories.
This graduate level textbook deals with analyzing and forecasting multiple time series. It considers a wide range of multiple time series models and methods. The models include vector autoregressive, vector autoregressive moving average, cointegrated, and periodic processes as well as state space and dynamic simultaneous equations models. Least squares, maximum likelihood, and Bayesian methods are considered for estimating these models. Different procedures for model selection or specification are treated and a range of tests and criteria for evaluating the adequacy of a chosen model are introduced. The choice of point and interval forecasts is considered and impulse response analysis, dynamic multipliers as well as innovation accounting are presented as tools for structural analysis within the multiple time series context. This book is accessible to graduate students in business and economics. In addition, multiple time series courses in other fields such as statistics and engineering may be based on this book. Applied researchers involved in analyzing multiple time series may benefit from the book as it provides the background and tools for their task. It enables the reader to perform his or her analyses in a gap to the difficult technical literature on the topic.
Smoothness Priors Analysis Of Time Series
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Author : Genshiro Kitagawa
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Smoothness Priors Analysis Of Time Series written by Genshiro Kitagawa and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.
Smoothness Priors Analysis of Time Series addresses some of the problems of modeling stationary and nonstationary time series primarily from a Bayesian stochastic regression "smoothness priors" state space point of view. Prior distributions on model coefficients are parametrized by hyperparameters. Maximizing the likelihood of a small number of hyperparameters permits the robust modeling of a time series with relatively complex structure and a very large number of implicitly inferred parameters. The critical statistical ideas in smoothness priors are the likelihood of the Bayesian model and the use of likelihood as a measure of the goodness of fit of the model. The emphasis is on a general state space approach in which the recursive conditional distributions for prediction, filtering, and smoothing are realized using a variety of nonstandard methods including numerical integration, a Gaussian mixture distribution-two filter smoothing formula, and a Monte Carlo "particle-path tracing" method in which the distributions are approximated by many realizations. The methods are applicable for modeling time series with complex structures.
Introduction To Statistical Time Series
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Author : Wayne A. Fuller
language : en
Publisher: John Wiley & Sons
Release Date : 2009-09-25
Introduction To Statistical Time Series written by Wayne A. Fuller and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-09-25 with Mathematics categories.
The subject of time series is of considerable interest, especiallyamong researchers in econometrics, engineering, and the naturalsciences. As part of the prestigious Wiley Series in Probabilityand Statistics, this book provides a lucid introduction to thefield and, in this new Second Edition, covers the importantadvances of recent years, including nonstationary models, nonlinearestimation, multivariate models, state space representations, andempirical model identification. New sections have also been addedon the Wold decomposition, partial autocorrelation, long memoryprocesses, and the Kalman filter. Major topics include: * Moving average and autoregressive processes * Introduction to Fourier analysis * Spectral theory and filtering * Large sample theory * Estimation of the mean and autocorrelations * Estimation of the spectrum * Parameter estimation * Regression, trend, and seasonality * Unit root and explosive time series To accommodate a wide variety of readers, review material,especially on elementary results in Fourier analysis, large samplestatistics, and difference equations, has been included.
Recursive Estimation And Time Series Analysis
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Author : Peter C. Young
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-08-04
Recursive Estimation And Time Series Analysis written by Peter C. Young and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-08-04 with Technology & Engineering categories.
This is a revised version of the 1984 book of the same name but considerably modified and enlarged to accommodate the developments in recursive estimation and time series analysis that have occurred over the last quarter century. Also over this time, the CAPTAIN Toolbox for recursive estimation and time series analysis has been developed at Lancaster, for use in the MatlabTM software environment (see Appendix G). Consequently, the present version of the book is able to exploit the many computational routines that are contained in this widely available Toolbox, as well as some of the other routines in MatlabTM and its other toolboxes. The book is an introductory one on the topic of recursive estimation and it demonstrates how this approach to estimation, in its various forms, can be an impressive aid to the modelling of stochastic, dynamic systems. It is intended for undergraduate or Masters students who wish to obtain a grounding in this subject; or for practitioners in industry who may have heard of topics dealt with in this book and, while they want to know more about them, may have been deterred by the rather esoteric nature of some books in this challenging area of study.
Proceedings Of The First Us Japan Conference On The Frontiers Of Statistical Modeling An Informational Approach
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Author : H. Bozdogan
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Proceedings Of The First Us Japan Conference On The Frontiers Of Statistical Modeling An Informational Approach written by H. Bozdogan and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.
These three volumes comprise the proceedings of the US/Japan Conference, held in honour of Professor H. Akaike, on the `Frontiers of Statistical Modeling: an Informational Approach'. The major theme of the conference was the implementation of statistical modeling through an informational approach to complex, real-world problems. Volume 1 contains papers which deal with the Theory and Methodology of Time Series Analysis. Volume 1 also contains the text of the Banquet talk by E. Parzen and the keynote lecture of H. Akaike. Volume 2 is devoted to the general topic of Multivariate Statistical Modeling, and Volume 3 contains the papers relating to Engineering and Scientific Applications. For all scientists whose work involves statistics.